Key Takeaways with Craig
US Equities began the day slightly higher and wound up broadly higher as the market looks to tomorrow’s release of the August CPI data for the latest read on domestic inflation. Given the market moving potential of that number release, we took a look at CME’s Event Volatility Calendar, which was indicating a 17.5 point move in the E-mini S&P 500 attributable to the CPI release, using the term structure of volatility in the options. The top QuikStrike graph below shows the elevated implied volatility of the E-mini S&P 500 options that expire tomorrow relative to the more deferred expirations.
US Treasury yields were little changed heading into the CPI release though the Micro 2-Year Yield futures price was down by about 1 basis point while the Micro 10-Year Yield was up by about 3.5 basis points, slightly narrowing the inversion of the 2s versus 10s. CME’s FedWatch tool continues to show the probability of a 75 basis point hike at the September FOMC meeting in the low 90s.
In other CME markets, WTI Crude Oil futures prices rose another 2% and are back up near $88.50 after trading down below $82 last week and most major Foreign Currencies were higher versus the US Dollar in CME’s FX futures markets.
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